All CL Long

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 (15) (9.7) 28 (6) 2 (10) (36) (1) 90
60 (4) (3.3) 41 (1) 4 (6) (36) (1) 93
120 (1) (0.8) 47 0 7 (7) (36) (1) 92
250 (1) (0.6) 45 0 10 (9) (48) (2) 87
500 1 0.3 44 0 12 (9) (59) (2) 84
760 0 0.1 43 0 11 (8) (59) (3) 82
1260 0 0.3 47 0 9 (7) (91) (3) 86
2520 1 0.5 48 0 10 (9) (91) (6) 88
All 1 0.7 50 0 10 (9) (91) (6) 89

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0 0.2 0.2 0.6 (0.1) (0.1) (0.1) 0.3 (0.2) (0.4) (0.1) 0.1 0.5 0.1 47 235 (0.5) (1.7) 0.4 0.2
2017 (0.2) 0 (0.2) (0.8) 0 0 0 0 0 0 0 0 (1.2) (2.4) 45.3 92 (0.4) (1.3) 0.3 0.1
2016 0 0.1 1.9 1.4 0.3 (0.3) (0.5) 0.3 0.3 (0.4) 0 0.4 3.5 1.4 46.4 231 (0.6) (1.4) 0.4 0.2
2015 (0.4) 0.2 (0.4) 1.9 (0.2) (0.3) (0.3) 0 (0.1) (0.7) (0.1) 0 (0.4) (0.2) 43.8 224 (0.5) (2.1) 0.3 0.1
2014 0.2 0.5 (0.4) 0 0.2 0.3 (0.5) (0.1) (0.3) (0.3) (0.2) (0.1) (0.7) (0.7) 45.8 221 (0.3) (1.7) 0.4 0.2
2013 0.5 (0.5) 0.3 (0.4) 0.2 0.1 0.5 0 (0.5) (0.3) (0.2) 0.1 (0.2) (0.1) 49 248 (0.9) (1.7) 0.4 0.2
2012 (0.3) 0.7 (0.2) 0 (0.9) (0.2) 0.5 1.1 (0.3) (0.1) 0 0 0.3 0.3 50.2 251 (0.3) (1.7) 0.4 0.1
2011 (0.3) 0.5 1 0.5 (0.4) (0.4) 0 (0.4) 0 0.7 0.5 (0.1) 1.6 0.8 49 255 (0.4) (1.6) 0.3 0.1
2010 (1) 0.5 0.3 0 (1.3) 0 0.1 (0.4) 0.3 0 (0.2) 0.4 (1.3) (0.7) 48.7 244 (0.4) (2.5) 0.3 0.2
2009 (2.1) 0.1 0.9 0.2 2.3 0.4 0.5 0 (0.5) 1.1 0 0.5 3.4 1 52.4 237 (0.8) (3.2) 0.4 0.2
2008 (0.4) 1 0.1 1.3 1.3 1 (0.7) (0.1) (0.5) (1) (0.5) 0.2 1.7 0.8 47.5 211 (0.5) (3.2) 0.4 0.2
2007 (0.3) 0.5 0.2 (0.6) (1) 0.8 1.1 (0.4) 1.5 1.1 0.3 0.8 4 2 56 252 (0.4) (1.6) 0.3 0.2
2006 0.9 (1.1) 0.2 0.6 (0.3) 0 (0.3) (0.3) (0.1) (0.5) 0.1 (0.6) (1.4) (0.8) 46 245 (0.6) (2.5) 0.3 0.1
2005 0.7 0.2 0.8 (0.9) (0.1) 0.5 0.8 1.1 (0.5) (0.8) 0 (0.2) 1.6 0.6 52.5 227 (0.5) (2.1) 0.4 0.2
2004 0.3 0.9 0.6 0.2 0.7 (0.5) 1.3 (0.2) 1.2 0.4 0 (1) 3.9 1.9 54.6 249 (0.5) (1.8) 0.4 0.2
2003 0.8 1.6 (1.1) 0.1 0.9 0.6 0.1 0.1 (0.6) 0.3 0.4 0.6 3.8 1.7 54.9 255 (0.5) (1.8) 0.4 0.2
2002 0.1 0.7 2.1 0.2 (0.5) 0.1 0.2 0.4 0.7 (0.9) 0.1 1.5 4.7 2.3 53.2 244 (0.5) (1.2) 0.4 0.2
2001 0.9 0 (0.6) 0.3 (0.1) (0.1) (0.1) 0.2 0 (0.4) (0.4) 0.4 0.1 0 49.8 255 (0.4) (2.4) 0.3 0.1
2000 0.2 1.1 (0.6) (0.2) 1.1 1 (0.9) 1.6 (0.4) (0.4) 0.3 (0.7) 2.1 0.9 49.8 244 (0.7) (2.4) 0.3 0.2